Nowcasting causality in mixed frequency vector autoregressive models

T.B. Götz; A.W. Hecq

doi:10.1016/j.econlet.2013.10.037

Nowcasting causality in mixed frequency vector autoregressive models

T.B. Götz^*, A.W. Hecq

^*Corresponding author for this work

Quantitative Economics

Research output: Contribution to journal › Article › Academic › peer-review

Abstract

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.

Original language	English
Pages (from-to)	74-78
Number of pages	5
Journal	Economics Letters
Volume	122
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2013.10.037
Publication status	Published - 1 Jan 2014

Keywords

Instantaneous causality
Granger causality
Mixed-frequency VAR
Mixed-frequency regression
NUISANCE PARAMETER
HYPOTHESIS

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10.1016/j.econlet.2013.10.037

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title = "Nowcasting causality in mixed frequency vector autoregressive models",

abstract = "This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.",

keywords = "Instantaneous causality, Granger causality, Mixed-frequency VAR, Mixed-frequency regression, NUISANCE PARAMETER, HYPOTHESIS",

author = "T.B. G{\"o}tz and A.W. Hecq",

year = "2014",

month = jan,

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doi = "10.1016/j.econlet.2013.10.037",

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AU - Götz, T.B.

AU - Hecq, A.W.

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N2 - This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.

AB - This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency conditional models.

KW - Instantaneous causality

KW - Granger causality

KW - Mixed-frequency VAR

KW - Mixed-frequency regression

KW - NUISANCE PARAMETER

KW - HYPOTHESIS

U2 - 10.1016/j.econlet.2013.10.037

DO - 10.1016/j.econlet.2013.10.037

M3 - Article

SN - 0165-1765

VL - 122

SP - 74

EP - 78

JO - Economics Letters

JF - Economics Letters

IS - 1

ER -

Nowcasting causality in mixed frequency vector autoregressive models

Abstract

Keywords

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